2016.06.24
by Paul Krugman
1. Economics
- Brexit will make Britain poorer. It will be substantial.
- Market access 에 대한 assurance가 그 나라에 대한 장기 투자에 큰 영향을 미치는 것을 알고 있다. 영국은 이번 브렉시트로 이런 assurance를 걷어차 버렸기 때문에 불이익을 받게 되고 이는 곧 생산성을 떨어뜨릴 것이다.
==> market access 에 대한 assurance가 무슨말이지??
- 그러나 시장은 지금 파운드화의 폭락이나 영국 경제 침체와 같은 당장의 파급 효과에 대해서만 이야기 하고 있다. 파운드가 평소의 움짐임에 비해 크게 움직인건 사실이다. 그러나 emerging-market crisis를 경험해본 입장에서 이번 움직임은 그때에 비해서 큰 움짐임은 아님을 알 수 있다. 사실 영국 자체만 보더라도 역사적으로 크게 움직였던 움직임에 비해서는 크지 않았다. 70년대 및 1992년에 더 큰 움직임이 있었었다. 최근 5년간 파운드 차트를 보더라도 이번 하락은 world-class 급 하락은 아님을 알 수 있다.
- 더욱이 영국은 자국 통화로 회계 장부를 작성하는 나라이기 때문에 페소화 급락으로 인해 경제에 엄청난 타격을 입었던 아르헨티나와 같은 일을 일어나지 않을 것 이다. 브렉시트로 인해 자본이 급격하게 유출되고 이자율이 급등하는 일은 일어나지 않았다.
- 최근 5년간 영국 10년 채권의 이자율을 봐라.
- 전세계 주식 시장이 망가 졌고 채권 이자율을 더 낮아 졌다. 이런 현상은 중앙은행이 통화 정책을 매우 losse하게 유지 시키도록 할텐데 뭘 걱정해야 하나?
- 한가지 걱정으로 작용할 수 있는 것은 불확실성이 투자 심리를 위축 시킬 수 있다는 점이다.
2. Politics
- 사실 큰 문제는 영국과 유럽에 있어서 정치적인 이슈일 수 있다.
- 이번 사건으로 인해 유럽의 큰 프로젝트인, 경제의 통합을 통해 정치 통합을 이루고자 하는 노력은 굉장히 큰 곤경에 처하게 되었다. 브렉시트는 아마 populist/separist/xenophobic 운동들이 힘을 얻게 만드는 시발점이 될 것 이다. Secular stagnation으로 향하는 구조적인 유럽의 문제에 더해 이러한 정치적 이슈는 투자를 더욱더 꺼리게 만들 것 이다. 많은 사람들이 유럽의 미래에 대해 비관적이고 나또한 마찬가지 이다.
- 사실 이런 문제들은 Bremain이 되었더라고 할지라도 딱히 달라지지는 않았을 것이기는 하다.
- 다시 크루그먼 아저씨가 맨날 하는 이야기 등장
The big mistakes were the adoption of the euro without careful thought about
1. how a single currency would work without a unified government;
2. the disastrous framing of the euro crisis as a morality play brought on by irresponsible southerners;
3. the establishment of free labor mobility among culturally diverse countries with very different income levels, without careful thought about how that would work.
- 사실 브렉시트 사건 자체는 영국이 아니었다면 다른 어느 유럽 국가에서 나타 났을 단지 시간문제 였을 것 이다.
- 불필요한 데미지를 총리의 어리석은 판단으로 인해 얻게 된건 UK 자신이다.
So calm down about the short-run macroeconomics; grieve for Europe, but you should have been doing that already; worry about Britain.
2016년 6월 26일 일요일
2016년 6월 18일 토요일
Investing with style - AQR
https://www.aqr.com/library/journal-articles/investing-with-style
1. Most existing portfolios, even seemingly diversfied ones, are dominated by equity risk.
- EX> 60/40 Stock/bond portfolio is 0.99 correlated to a 100% stock portfolio.
2. 전통적인 자산 고유의 수익률이 매우 낮아져 있다. Consequently, investors have turned their attentions to alternative sources of return, specifically those attempting to be uncorrelated with traditional assets.
3. One way to achieve uncorrelated returns is to seek pure "alpha"
- In theory, alpha is the extra return achieved beyond any known risks or common systematic strategies. .... Unfortunately, alpha is at best elusive and, more often than not, illusive.
4. 알파를 찾는 어려운 일에 대한 이야기는 제쳐 두고, 이 페이퍼에서는 "Style" 이라고 부르는 기존 자산과 상관관계가 없고 positive return 을 만드는 충분히 입증된 전략에 대해 이야기를 해보자.
5. Def of Style
- We define a style as a disciplined and systematic method of investing that produces unique long-term positive returns across markets and asset classes, with low to zero correlation with major long-only assets, backed by significant scientific evidence, both in- and out-of sample, and with strong economic intuition underlying it
6. 이것저것 찾아내려고 많은 사람들이 도전을 했고 나름 많은 것들을 발견했으나 DATA-MINING 의 한계에서 벗어나지 못한 것들이 대부분이다. 그러나 많은 정교한 테스트들을 통과한 Style 들이 있으니 그건 바로 value, momentum, carry, and defensive
7. 이 네개의 팩터를 이용해서 펀드를 만들었는데 다른 유명한 두 팩터인 size 및 illiquidity 팩터를 뺀 이유
- size : 수익이 robust 하지 않다. & Size cannot be easily applied across other asset classes such as currencies or commodities and entails betting to a large degree on less ilquid securies
- illiquidity
8. Identifying robust return sources is the first ingredient of successful style premia investing, and finding consistent evidence in many markets and asset classes achieve this aim.
9. Leverage, shorting, and derivatives are necessary to achieve these important objectives efficiently. Hence, putting together a portfolio of style premia requires careful portfolio design, proper portfolio construction, effective implementation and cost control, as well as sound risk management.
10.
1. Most existing portfolios, even seemingly diversfied ones, are dominated by equity risk.
- EX> 60/40 Stock/bond portfolio is 0.99 correlated to a 100% stock portfolio.
2. 전통적인 자산 고유의 수익률이 매우 낮아져 있다. Consequently, investors have turned their attentions to alternative sources of return, specifically those attempting to be uncorrelated with traditional assets.
3. One way to achieve uncorrelated returns is to seek pure "alpha"
- In theory, alpha is the extra return achieved beyond any known risks or common systematic strategies. .... Unfortunately, alpha is at best elusive and, more often than not, illusive.
4. 알파를 찾는 어려운 일에 대한 이야기는 제쳐 두고, 이 페이퍼에서는 "Style" 이라고 부르는 기존 자산과 상관관계가 없고 positive return 을 만드는 충분히 입증된 전략에 대해 이야기를 해보자.
5. Def of Style
- We define a style as a disciplined and systematic method of investing that produces unique long-term positive returns across markets and asset classes, with low to zero correlation with major long-only assets, backed by significant scientific evidence, both in- and out-of sample, and with strong economic intuition underlying it
6. 이것저것 찾아내려고 많은 사람들이 도전을 했고 나름 많은 것들을 발견했으나 DATA-MINING 의 한계에서 벗어나지 못한 것들이 대부분이다. 그러나 많은 정교한 테스트들을 통과한 Style 들이 있으니 그건 바로 value, momentum, carry, and defensive
7. 이 네개의 팩터를 이용해서 펀드를 만들었는데 다른 유명한 두 팩터인 size 및 illiquidity 팩터를 뺀 이유
- size : 수익이 robust 하지 않다. & Size cannot be easily applied across other asset classes such as currencies or commodities and entails betting to a large degree on less ilquid securies
- illiquidity
8. Identifying robust return sources is the first ingredient of successful style premia investing, and finding consistent evidence in many markets and asset classes achieve this aim.
9. Leverage, shorting, and derivatives are necessary to achieve these important objectives efficiently. Hence, putting together a portfolio of style premia requires careful portfolio design, proper portfolio construction, effective implementation and cost control, as well as sound risk management.
10.
2016년 6월 17일 금요일
AQR - Shareholder Letter(2015)
1. AQR Equity Market Netural Fund
- provide investors with returns from potential gains of its long and short equity.
- Investment thems
- Investor Sentiment
- Stability
- Country-Industry Pairs
- Momentum-related themes(within industry, across industry and indirect Momentum)
- Value signals within and across industries underperformed slightly
- 수익률 매우 우수
2. AQR GLOBAL MACRO
- invests four liquid asset classes : Fixed income, currencies, commodities and equities
- Within these asset class, we take both relative value and directional positions
- The strategy is long-term market-neutral, but can take directional views over the short term.
- The Funds' strategy trades predominately on macroeconomic news and trends, usuing a systematic, bottom-up approach that integrates quantitative and discretionary trading signals
- Investment philosophy : the insight that financial markets tend to underreact to macroeconomic news. ( This implies that macroeconomic news tens to have a persistent effect on asset prices. )
- Dax 롱 S&P 숏 쳐서 깨먹었다.
3. AQR Long-Short Equity Fund
- Using three different sources of return
1) the potential gains from its long/short equity positions by entering into Total Return Basket Swaps
2) overall exposure to equity markets, the use of futures contractrs
3) the tactical variation of its net exposure to equity markets
The strategy primarily seek to add alpha via its long/short (market-neutral) stock portfolio.
- 위에 1번 펀드랑 차이를 모르겠네. 수익도 비슷.
4. AQR MANAGED FUTURES STRATEGY FUND
- Cliff Asness 가 운용
- actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.
- The fund both use long & short trend following signals
- market reversal 에 신경 쓴다는 일반적인 이야기
- We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle.
- 에쿼티에서 2.6% 까먹고 커머디티에서 5.05% 수익(total 2%)
- Central bank 에 주목 (divergence of policies)
- 보통 CTA들이 2015 1Q 에 유럽주식쪽의 strong rally 로 많은 수익을 냈다가 그리스 이슈로 많이 잃은듯. ( only to give back some of their gains as issues concerning Greece took center stage, and as the prospect for rising rates in the US became tangible in the second quarter)
- long term 시그널과 short term 시그널이 있는데 long term 의 경우 원자재로 인해 수익을 short term 시그널의 경우 손실을 봄
- 그래도 다른 CTA 전략들 보다는 성과가 좋았다고 이야기.
(SG Trend Index - 대형 헤지펀드 CTA전략 10개? 정도 수익률 모아서 만든 Index 인듯)
5. MULTI-STRATEGY ALTERNATIVE FUND
- 9.25% in 2015 & 7.9% annnualized daily vol, 0 correlation to equities
- There are nine strategies
- Three big gain strategies in 2015
1) Stock Selection Strategies
- Dedicated SHort bias(5.1%)
- Equity Market Neutral(+1.7%)
- Sentiment > growth > high-risk > valuation
2) Event Driven
3) Managed Futures - Trend following
6. RISK-BALANCED COMMODITIES STRATEGY FUND
- 망함
7. RISK PARITY FUND
- Risk parity investing involves allocating to investment by risk, which means that instruments with less risk generally be allocated more capital than instruments that are deemed riskers.
- 많이 깨짐. 약 -8%
- Despite a disappointing year, we stand by our conviction in the Fund's underlying premies and believe that it is a better long-term asset allocation strategy than a traditional equity-risk-centric allocation.
- 60/40 전략 대비 너무 무너짐...
8. STYL PREMIA ALTERNATIV EFUND
- 8.76%
-We employ market-neutral long short strategies across these asset groups based on four investment styles : VALUE, MOMENTUM, CARRY, DEFENSIVE
- 2015 Results
1) Defensive was the top contributor
2) Value : contributed with profits in equity indices, commodities, and fixed income
3) Momentum & Carry : detracted from performance
- Momentum : detracted in fixed income, equity indices and commodities
- Carry :detracted in commodities and currencies
- provide investors with returns from potential gains of its long and short equity.
- Investment thems
- Investor Sentiment
- Stability
- Country-Industry Pairs
- Momentum-related themes(within industry, across industry and indirect Momentum)
- Value signals within and across industries underperformed slightly
- 수익률 매우 우수
2. AQR GLOBAL MACRO
- invests four liquid asset classes : Fixed income, currencies, commodities and equities
- Within these asset class, we take both relative value and directional positions
- The strategy is long-term market-neutral, but can take directional views over the short term.
- The Funds' strategy trades predominately on macroeconomic news and trends, usuing a systematic, bottom-up approach that integrates quantitative and discretionary trading signals
- Investment philosophy : the insight that financial markets tend to underreact to macroeconomic news. ( This implies that macroeconomic news tens to have a persistent effect on asset prices. )
- Dax 롱 S&P 숏 쳐서 깨먹었다.
3. AQR Long-Short Equity Fund
- Using three different sources of return
1) the potential gains from its long/short equity positions by entering into Total Return Basket Swaps
2) overall exposure to equity markets, the use of futures contractrs
3) the tactical variation of its net exposure to equity markets
The strategy primarily seek to add alpha via its long/short (market-neutral) stock portfolio.
- 위에 1번 펀드랑 차이를 모르겠네. 수익도 비슷.
4. AQR MANAGED FUTURES STRATEGY FUND
- Cliff Asness 가 운용
- actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.
- The fund both use long & short trend following signals
- market reversal 에 신경 쓴다는 일반적인 이야기
- We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle.
- 에쿼티에서 2.6% 까먹고 커머디티에서 5.05% 수익(total 2%)
- Central bank 에 주목 (divergence of policies)
- 보통 CTA들이 2015 1Q 에 유럽주식쪽의 strong rally 로 많은 수익을 냈다가 그리스 이슈로 많이 잃은듯. ( only to give back some of their gains as issues concerning Greece took center stage, and as the prospect for rising rates in the US became tangible in the second quarter)
- long term 시그널과 short term 시그널이 있는데 long term 의 경우 원자재로 인해 수익을 short term 시그널의 경우 손실을 봄
- 그래도 다른 CTA 전략들 보다는 성과가 좋았다고 이야기.
(SG Trend Index - 대형 헤지펀드 CTA전략 10개? 정도 수익률 모아서 만든 Index 인듯)
5. MULTI-STRATEGY ALTERNATIVE FUND
- 9.25% in 2015 & 7.9% annnualized daily vol, 0 correlation to equities
- There are nine strategies
- Three big gain strategies in 2015
1) Stock Selection Strategies
- Dedicated SHort bias(5.1%)
- Equity Market Neutral(+1.7%)
- Sentiment > growth > high-risk > valuation
2) Event Driven
3) Managed Futures - Trend following
6. RISK-BALANCED COMMODITIES STRATEGY FUND
- 망함
7. RISK PARITY FUND
- Risk parity investing involves allocating to investment by risk, which means that instruments with less risk generally be allocated more capital than instruments that are deemed riskers.
- 많이 깨짐. 약 -8%
- Despite a disappointing year, we stand by our conviction in the Fund's underlying premies and believe that it is a better long-term asset allocation strategy than a traditional equity-risk-centric allocation.
- 60/40 전략 대비 너무 무너짐...
8. STYL PREMIA ALTERNATIV EFUND
- 8.76%
-We employ market-neutral long short strategies across these asset groups based on four investment styles : VALUE, MOMENTUM, CARRY, DEFENSIVE
- 2015 Results
1) Defensive was the top contributor
2) Value : contributed with profits in equity indices, commodities, and fixed income
3) Momentum & Carry : detracted from performance
- Momentum : detracted in fixed income, equity indices and commodities
- Carry :detracted in commodities and currencies
2016년 6월 14일 화요일
20160614(화) - Japanese government bond yields fall to fresh low
http://www.ft.com/intl/cms/s/0/ac73458c-31d1-11e6-bda0-04585c31b153.html#axzz4BYiI2djN
“We think additional easing is only a matter of time as long as the BoJ adheres to its 2 per cent inflation target,” said Naohiko Baba at Goldman Sachs in Tokyo.
A range of tactical problems make it hard to act this week, however, even if the US Federal Reserve holds rates a day earlier. A dovish message from the Fed could push the yen up even further.
The BoJ’s biggest tactical obstacle is the Brexit referendum. If it eases this week and Britain then votes to leave the EU the yen might rise anyway. That risks fuelling a public perception that BoJ policy is ineffective.
Easing now also risks the appearance of political interference ahead of upper house elections on July 10, while the BoJ will not publish new economic forecasts — accounting for prime minister Shinzo Abe’s decision to postpone a scheduled rise in consumption tax — until its next meeting in July.
All of those factors make July a more likely date for action than June, although BoJ governor Haruhiko Kuroda likes to surprise.
Quant Hedge Fund Balance Computer and Brain Power
http://www.institutionalinvestor.com/article/3558232/asset-management-hedge-funds-and-alternatives/quant-hedge-funds-balance-computer-and-brain-power.html?ArticleId=3558232#/.V04BgWaYtRM.facebook
MAN-AHL
The firm trade four main strategies
1. classical long term trend following
2. proprieatory trend following
3. multistrategy
4. long only
- Man has been developing machine learning algorithms for half a decade.
"But the traders and scientists must know how the algorithms work and how avoid overfitting data to a trading hypothesis.
"You have to understand both the problem and the data, and fit them together carefully"
"You always run the risk of overfitting"
Aspect
- Aspect's trading program is actually seven in one, operating at a range of frequencies by capturing trends of between two weeks and six months.
- Aspect occupies a middle ground, blending human intuition and rigorous research to create trading programs that aren't just autonomous algo.
"Our research approach has always been hypothesis-driven"
WINTON
- Open a San Francisco data science center to tap Silicon Valley's talent
- See a future in building proprietary data sets.
- Winton ventures, a new venture capital unit that is on the hunt for data-driven start ups
- "We are interested in companies where really understanding what can be inferred from the data - drawing valid conclusion from the data - is essential to the success of the business
MAN-AHL
The firm trade four main strategies
1. classical long term trend following
2. proprieatory trend following
3. multistrategy
4. long only
- Man has been developing machine learning algorithms for half a decade.
"But the traders and scientists must know how the algorithms work and how avoid overfitting data to a trading hypothesis.
"You have to understand both the problem and the data, and fit them together carefully"
"You always run the risk of overfitting"
Aspect
- Aspect's trading program is actually seven in one, operating at a range of frequencies by capturing trends of between two weeks and six months.
- Aspect occupies a middle ground, blending human intuition and rigorous research to create trading programs that aren't just autonomous algo.
"Our research approach has always been hypothesis-driven"
WINTON
- Open a San Francisco data science center to tap Silicon Valley's talent
- See a future in building proprietary data sets.
- Winton ventures, a new venture capital unit that is on the hunt for data-driven start ups
- "We are interested in companies where really understanding what can be inferred from the data - drawing valid conclusion from the data - is essential to the success of the business
2016년 6월 13일 월요일
Directional or Cross-sectional - a matter of choice
https://www.man.com/2/unconventionalviews-2016-sargaison
2016.01.12
Quantitative investment
1. CTA
- much more directional approach to trading
2. Traditional quant equity business
- aim to be market neutral
- to neutralise exposure to the broad equity market by trading only cross-sectional variations in returns
- 'relative value'
과거를 살펴보면 평균적으로 비슷한 퍼포먼스. 하지만 둘의 상관관계는 낮음. (different driving force)
Both have been successful in different conditions over a long period.
어떤 포트폴리오를 구성하고 있는 자산들 간의 상관관계가 fully uncorrelate 상태가 아니라면 자산의 return 에 영향을 미치는 the largest common factor 가 있다고 생각 할 수 있다..
cross sectional 접근과 time-series 접근이 여기서 나뉘는데..
cross sectional 접근은 바로 이 largest common factor 를 제거 하는 것.
그럼 수익률이 소스는?
그 외 다른 smaller factor. 예를들면 Value.
최근에 하버드 연기금을 운용하는 구루인 Stephen Blyth가 말하길,
he felt current markets, with continuing high valuations, were becoming "frothy" and he further stated that they had now
"renewed focus on identifying... managers with demonstrable investment expertise on both the long and short sides of the market."
===> CTA 가 하는일.
CTA는 지난 18년동안 cross-sectional 전략들과 비슷한 수익률을 가지고 있지만 두달 연속 10%이상 S&P 가 빠졌던 bear 장에서의 수익률은 cross-sectional 보다 훨씬 좋다. (annualized 5.1%)
In the context of a truly diversified portfolio, we believe neutralising all underlying market exposures is seldom the optimal approach, even during periods of extreme stress and acute risk aversions.
2016.01.12
Quantitative investment
1. CTA
- much more directional approach to trading
2. Traditional quant equity business
- aim to be market neutral
- to neutralise exposure to the broad equity market by trading only cross-sectional variations in returns
- 'relative value'
과거를 살펴보면 평균적으로 비슷한 퍼포먼스. 하지만 둘의 상관관계는 낮음. (different driving force)
Both have been successful in different conditions over a long period.
어떤 포트폴리오를 구성하고 있는 자산들 간의 상관관계가 fully uncorrelate 상태가 아니라면 자산의 return 에 영향을 미치는 the largest common factor 가 있다고 생각 할 수 있다..
cross sectional 접근과 time-series 접근이 여기서 나뉘는데..
cross sectional 접근은 바로 이 largest common factor 를 제거 하는 것.
그럼 수익률이 소스는?
그 외 다른 smaller factor. 예를들면 Value.
최근에 하버드 연기금을 운용하는 구루인 Stephen Blyth가 말하길,
he felt current markets, with continuing high valuations, were becoming "frothy" and he further stated that they had now
"renewed focus on identifying... managers with demonstrable investment expertise on both the long and short sides of the market."
===> CTA 가 하는일.
CTA는 지난 18년동안 cross-sectional 전략들과 비슷한 수익률을 가지고 있지만 두달 연속 10%이상 S&P 가 빠졌던 bear 장에서의 수익률은 cross-sectional 보다 훨씬 좋다. (annualized 5.1%)
In the context of a truly diversified portfolio, we believe neutralising all underlying market exposures is seldom the optimal approach, even during periods of extreme stress and acute risk aversions.
IS THERE ANY ALPHA LEFT IN FX?
https://www.man.com/2/is-there-any-alpha-left-in-FX
2015.01.30
In the coming few years, we believe there will be two sources of alpha in FX
1. while big trend have been elusive recently, they are likely to return as economies start diverging again.
==> This process is already started as the US economy is outperforming
2. There are a number of alpha sources independent of big trends, such as macroeconomic fundamentals an non-trend statistical indicators.
-----------------------------------
EXCHANGE RATE TRENDS WILL RETURN AN ECONOMIC FUNDAMENTALS DIVERGE
1. Foreign exchange rates reflect the relative economic fundamentals of a pair of countries.
2. When two countries'(or regions) fundamentals diverge significantly over an extended period, the resulting adjustment in their exchange rate often leads to a multi-year trend.
3. Historically, most currency managers based their trading on momentum and carry strategies.
뒤에 붙어있는 References 들에 볼게 좀 있는듯..
2015.01.30
In the coming few years, we believe there will be two sources of alpha in FX
1. while big trend have been elusive recently, they are likely to return as economies start diverging again.
==> This process is already started as the US economy is outperforming
2. There are a number of alpha sources independent of big trends, such as macroeconomic fundamentals an non-trend statistical indicators.
-----------------------------------
EXCHANGE RATE TRENDS WILL RETURN AN ECONOMIC FUNDAMENTALS DIVERGE
1. Foreign exchange rates reflect the relative economic fundamentals of a pair of countries.
2. When two countries'(or regions) fundamentals diverge significantly over an extended period, the resulting adjustment in their exchange rate often leads to a multi-year trend.
3. Historically, most currency managers based their trading on momentum and carry strategies.
뒤에 붙어있는 References 들에 볼게 좀 있는듯..
2016년 6월 11일 토요일
Research Paper 목록(작성중)
<Deutsche Bank>
1.QCD Model: DB Quant Handbook, 22 July 2010
2. Signal Processing : Quant Tactical Asset allocation, 19 Sep 2011
3. Signal Processing: New Insights in Country Rotation, 9 Feb 2012
4. Signal Processing: The Rise of the Machines, 5 June 2012
5. Signal Processing: Style Rotation, 7 Sep 2010
6. Signal Processing: Pairs trading with a fundamental flavor, 20 MAr 2012
7. Signal Processing: Portfolios Under Construction: Correlation & Consequences, 24 Jan, 2012
8. Signal Processing: Macro Uncertainty, Investor Sentiment, and Asset Returns, 30 May 2013
<MS>
1. US Quant Research: Agreeing to Disagree : Measurement Error in Equity Factor Models, July 27, 2015)
2. US Equity Stretegy: Growth Matters, May 28, 2013
- 있음
3. US Quant Research: Idiosyncratic Risk Returns, Jan. 11, 2013
4. US Equity Streategy: Seeing Industries in a New Light with PRISM, Sept. 3, 2013
5. US Equity Strategy: Cyclicals or Defensives, Feb. 26, 2012
6. US Equity Strategy: Introducing MOST : Morgan Stanley's Quantitative Stock-Selection Model, Feb 13, 2011)
7. US Equity Strategy: Introducing BEST: Morgan Stanley's New Biannual Equity Selection Tool, Seb 11, 2011)
8. US Equity Strategy: Unemotional Approaches, Oct 4, 2011
9. US Equity Strategy: The Factor Reference Guide, Aug 5, 2014
10. US Quant Research: Quantabees Beware: Explaining Factor Efficacy, Mar 7 2012
11. US Quant Research: Making Factor Consistency Pay Off, Dec 7 2015
12. Global Quantitative Research: Finding Alpha in Global Equity Markets Sep 21 2015
12. US Quant Research: Do Moving Average Crossover Signals Work in Equities? April7. 2016
Mezrich, Ishikawa, “Decision rules to forecast momentum.” Nomura, 4 September 2012.
1.QCD Model: DB Quant Handbook, 22 July 2010
2. Signal Processing : Quant Tactical Asset allocation, 19 Sep 2011
4. Signal Processing: The Rise of the Machines, 5 June 2012
5. Signal Processing: Style Rotation, 7 Sep 2010
6. Signal Processing: Pairs trading with a fundamental flavor, 20 MAr 2012
7. Signal Processing: Portfolios Under Construction: Correlation & Consequences, 24 Jan, 2012
<MS>
1. US Quant Research: Agreeing to Disagree : Measurement Error in Equity Factor Models, July 27, 2015)
- 있음
4. US Equity Streategy: Seeing Industries in a New Light with PRISM, Sept. 3, 2013
5. US Equity Strategy: Cyclicals or Defensives, Feb. 26, 2012
6. US Equity Strategy: Introducing MOST : Morgan Stanley's Quantitative Stock-Selection Model, Feb 13, 2011)
7. US Equity Strategy: Introducing BEST: Morgan Stanley's New Biannual Equity Selection Tool, Seb 11, 2011)
9. US Equity Strategy: The Factor Reference Guide, Aug 5, 2014
10. US Quant Research: Quantabees Beware: Explaining Factor Efficacy, Mar 7 2012
11. US Quant Research: Making Factor Consistency Pay Off, Dec 7 2015
12. Global Quantitative Research: Finding Alpha in Global Equity Markets Sep 21 2015
Mezrich, Ishikawa, “Decision rules to forecast momentum.” Nomura, 4 September 2012.
2016년 6월 10일 금요일
20160611(토) - Risk off?
<Facts>
1. Dax : -2.87%
2. S&P E-mini : -0.85%
3. The grobal railly in government bonds
- German, UK and Japanese sovereign bond yields all reached historic lows
- 10Year Bund : 0.01%
- 10Year JGB : -0.15%
- 10Year US-T : down 4bp at 1.64% ( 2Year : 0.73%)
4. Brent oil : -2.7% ( but still up 1.8% on the week)
<Why?>
1. an anxiety over the world economy
- real fears in the markets about global growth
- watch out the price of copper!
2. Britain's referendum on EU membership sent investors racing to safety.
- The polls on Jun 23
- "UK political risk has become the biggest deal in global financial markets, for now" - City Strategist Jonathan Stubbs
3. do not know the effects of negative interest rates in the eurozone and Japan
- Bill Gross : "Supernova that will explode one day"
<Next week>
1. 6.16(Thursday)
- FOMC & BOJ
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